On the Starting and Stopping Problem: Application in Reversible Investments
نویسندگان
چکیده
In this work we solve completely the starting and stopping problem when the dynamics of the system are a general adapted stochastic process. We use backward stochastic differential equations and Snell envelopes. Finally we give some numerical results. AMS Classification subjects: 60G40 ; 93E20 ; 62P20 ; 91B99.
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عنوان ژورنال:
- Math. Oper. Res.
دوره 32 شماره
صفحات -
تاریخ انتشار 2007